Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach

By F. Benhmad. 2012

220 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5d59c01d23eacdf5583f913765a5daf9f101638c

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In Economics and Econometrics

Citations in the corpus

The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework (2013, unknown): “Benhmad (2012) discovers that the linear and nonlinear causal relationships between the real oil price and the US dollar real effective exchange rate vary over frequency bands, as they depend on the timescales. The author reports a strong bidirectional causal relationship for large time horizons (lo”
Modeling returns and volatility transmission between oil price and US–Nigeria exchange rate (2013, methodology): “To achieve the main objective, the study employs the newly developed VAR-GARCH model introduced by Ling and McAleer (2003) and subsequently applied by Chan et al. (2005), Hammoudeh et al.”
Oil price and exchange rates: A wavelet based analysis for India (2013, background): “Building their argument on the law of one price (LOP), Golub (1983), Krugman (1983a, 1983b) and Bloomberg and Harris (1995) provide a thorough description of themovements of exchange rate and oil prices.”
On the nonlinear relation between crude oil and gold (2017, result): “First, in contrast to the studies mentioned above, we argue that the relation between oil and gold may be mis-specified since the traditional causality tests assume a linear relation between the variables (Hiemstra and Jones, 1994; Benhmad, 2012; Wang and Wu, 2012).”
Wavelet Transform Application for/in Non-Stationary Time-Series Analysis: A Review (2019, methodology): “Benhmad [61] used the MRA wavelet in order to study the linear and nonlinear Granger causality between the real oil price and the real effective U.”
Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets (2015, unknown): “[53] investigated the causality between oil price and US dollar exchange rate.”